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Betas and the myth of market neutrality
Papageorgiou, Nicolas A.; Reeves, Jonathan J.; Xie, Xuan - In: International journal of forecasting 32 (2016) 2, pp. 548-558
Persistent link: https://www.econbiz.de/10011597207
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Targeting market neutrality
Lee, John B.; Reeves, Jonathan J.; Tjahja, Alice C.; … - In: Quantitative finance 19 (2019) 3, pp. 437-451
Persistent link: https://www.econbiz.de/10012194663
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Shifts in beta and the TARP announcement
Phin, Andrew; Prono, Todd; Reeves, Jonathan J.; Saxena, … - In: Finance research letters 47 (2022) 2, pp. 1-6
Persistent link: https://www.econbiz.de/10013553701
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Beta forecasting at long horizons
Cenesizoglu, Tolga; Ribeiro, Fabio de Oliveira Ferrazoli; … - In: International journal of forecasting 33 (2017) 4, pp. 936-957
Persistent link: https://www.econbiz.de/10011746930
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CAPM, components of beta and the cross section of expected returns
Cenesizoglu, Tolga; Reeves, Jonathan J. - In: Journal of empirical finance 49 (2018), pp. 223-246
Persistent link: https://www.econbiz.de/10012117743
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Beta measurement with high frequency returns
Bao Doan; Lee, John B.; Liu, Qianqiu; Reeves, Jonathan J. - In: Finance research letters 47 (2022) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10013459130